Robustness of the arch tests in the presence of serial correlation

DOI10.1080/03610919708813403zbMath0900.62486OpenAlexW3123813976MaRDI QIDQ4369369

No author found.

Publication date: 18 December 1997

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919708813403

zbMATH Keywords

powersizeLagrange multiplier testARMA-ARCH modelslocally best score test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Unnamed Item
• Small sample properties of alternative forms of the Lagrange multiplier test
• An econometric analysis of nonsynchronous trading
• A note on Studentizing a test for heteroscedasticity
• A Lagrange multiplier test for GARCH models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Nonnested testing for autocorrelation in the linear regression model
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Score Test Against One-Sided Alternatives
• An approximate method for generating asymmetric random variables
• An approximate method for generating symmetric random variables

This page was built for publication: Robustness of the arch tests in the presence of serial correlation